It's a short but significant list. I know for a fact that R-Type does, I think Zaxxon, Wonder Boy 2, Golvellius and possibly Phantasy Star do too.
If I'm not mistaken there's even an expansion port already in the Master System where such a unit would be attached but there's some extra soldering required. I don't know THAT much about it so I'm probably wrong. I just want my games to sound good. I mean listen to this shit.
Regular:
http://www.youtube.com/watch?v=q-4uE6z6H3c
FM Version:
http://www.youtube.com/watch?v=zWc9DxgbnT4